Pacific-Basin Finance Journal, Volume 48, February 2018
成交量冲击与股票收益：一个可供选择的检验
作者：Angel Zhong (School of Economics, Finance and Marketing, RMIT University, Australia),
Daniel Chai (Department of Banking and Finance, Monash Business School, Monash University, Australia),
Bob Li (Department of Finance, Deakin Business School, Deakin University, Australia),
Mardy Chiah(Swinburne Business School, Swinburne University of Technology, Australia)
摘要：本文利用异常交易量的另一种度量方法，研究了交易量冲击对股票收益的影响。我们发现高交易量对投资组合和个人股票收益水平有重要作用。买入高交易量冲击的股票，并卖出低交易量冲击的股票，这种该策略能在交易形成后的多达12个月产生正回报。在控制已知影响股票收益的其他股票特征后，结果是稳健的。我们的结果表明，在高交易量冲击下，股票交易量变得相对较高。此外，对于之前未能引起投资者注意的股票，交易量冲击与股票回报之间的关系更为密切。这一发现与异常交易量反映了未观测到的关注度攫取事件的观点是一致的。然而我们发现交易量冲击被定价的证据。
关键词：成交量；成交量冲击；资产定价；关注度
Volume shocks and stock returns: An alternative test
Angel Zhong (School of Economics, Finance and Marketing, RMIT University, Australia), Daniel Chai (Department of Banking and Finance, Monash Business School, Monash University, Australia), Bob Li (Department of Finance, Deakin Business School, Deakin University, Australia), Mardy Chiah(Swinburne Business School, Swinburne University of Technology, Australia)
ABSTRACT
Using an alternative measure for abnormal trading volume, this article examines the role of volume shock in the generation of stock returns. We find a strong high volume effect at both portfolio and individual stock levels. A strategy that buys stocks experiencing high volume shocks and sells stocks experiencing low volume shocks generates positive returns up to 12?months after formation. The effect is robust after controlling for other stock characteristics that are known to affect stock returns. Our results show that trading volume becomes relatively higher after high volume shocks. Moreover, the relation between volume shocks and stock returns is stronger for stocks that previously failed to catch investors' attention. This finding is consistent with the view that abnormal trading volume proxies for unobserved attention-grabbing events. However, we find no evidence that volume shocks are priced.
Keywords: Trading volume; Volume shocks; Asset pricing; Attention
原文链接：https://www.sciencedirect.com/science/article/pii/S0927538X16302785#!
翻译：施懿
